Research classified by Journal of Economic Literature (JEL) codes

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Top JEL
/ C: Mathematical and Quantitative Methods
/ / C3: Multiple or Simultaneous Equation Models; Multiple Variables
/ / / C32: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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This JEL code is mentioned in the following RePEc Biblio entries:

1. Estimated DSGE Models
2. Forecasting with DSGE Models
3. Nowcasting
4. Sign Restrictions
5. Bayesian Vector autoregressions (BVARs)
6. Dynamic Factor Models

2012

• Féve, Patrick & Jidoud, Ahmat, 2012, "Identifying News Shocks from SVARs," Journal of Macroeconomics, Elsevier, volume 34, issue 4, pages 919-932, DOI: 10.1016/j.jmacro.2012.07.002.
• Jacobs, Jan P.A.M. & Otter, Pieter W. & den Reijer, Ard H.J., 2012, "Information, data dimension and factor structure," Journal of Multivariate Analysis, Elsevier, volume 106, issue C, pages 80-91, DOI: 10.1016/j.jmva.2011.11.003.
• DeJuan, Joseph & Persson, Joakim & Tomljanovich, Marc, 2012, "Regional Income Convergence in Sweden, 1911-2003: A Time Series Analysis," The Journal of Economic Asymmetries, Elsevier, volume 9, issue 1, pages 67-87, DOI: 10.1016/j.jeca.2012.01.004.
• Apergis, Nicholas & Zestos, George K. & Shaltayev, Dmitriy S., 2012, "Do market fundamentals determine the Dollar–Euro exchange rate?," Journal of Policy Modeling, Elsevier, volume 34, issue 1, pages 1-15, DOI: 10.1016/j.jpolmod.2011.10.003.
• Travaglini, Giuseppe, 2012, "Trade-off between labor productivity and capital accumulation in Italian energy sector," Journal of Policy Modeling, Elsevier, volume 34, issue 1, pages 35-48, DOI: 10.1016/j.jpolmod.2011.07.013.
• Kalou, Sofia & Paleologou, Suzanna-Maria, 2012, "The twin deficits hypothesis: Revisiting an EMU country," Journal of Policy Modeling, Elsevier, volume 34, issue 2, pages 230-241, DOI: 10.1016/j.jpolmod.2011.06.002.
• Magazzino, Cosimo, 2012, "Wagner versus Keynes: Public spending and national income in Italy," Journal of Policy Modeling, Elsevier, volume 34, issue 6, pages 890-905, DOI: 10.1016/j.jpolmod.2012.05.012.
• Hofmann, Boris & Peersman, Gert & Straub, Roland, 2012, "Time variation in U.S. wage dynamics," Journal of Monetary Economics, Elsevier, volume 59, issue 8, pages 769-783, DOI: 10.1016/j.jmoneco.2012.10.009.
• Charfeddine, Lanouar & Guégan, Dominique, 2012, "Breaks or long memory behavior: An empirical investigation," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 391, issue 22, pages 5712-5726, DOI: 10.1016/j.physa.2012.06.036.
• Fernández-Macho, Javier, 2012, "Wavelet multiple correlation and cross-correlation: A multiscale analysis of Eurozone stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 391, issue 4, pages 1097-1104, DOI: 10.1016/j.physa.2011.11.002.
• Wang, Zijun, 2012, "The causal structure of bond yields," The Quarterly Review of Economics and Finance, Elsevier, volume 52, issue 1, pages 93-102, DOI: 10.1016/j.qref.2012.01.002.
• Caporale, Guglielmo Maria & Girardi, Alessandro & Paesani, Paolo, 2012, "Quoted spreads and trade imbalance dynamics in the European Treasury bond market," The Quarterly Review of Economics and Finance, Elsevier, volume 52, issue 2, pages 173-182, DOI: 10.1016/j.qref.2012.03.001.
• Li, Hong, 2012, "The impact of China's stock market reforms on its international stock market linkages," The Quarterly Review of Economics and Finance, Elsevier, volume 52, issue 4, pages 358-368, DOI: 10.1016/j.qref.2012.10.003.
• Kao, Erin H. & Fung, Hung-Gay, 2012, "Intraday trading activities and volatility in round-the-clock futures markets," International Review of Economics & Finance, Elsevier, volume 21, issue 1, pages 195-209, DOI: 10.1016/j.iref.2011.06.003.
• Vázquez, Jesús & María-Dolores, Ramón & Londoño, Juan M., 2012, "The Effect of Data Revisions on the Basic New Keynesian Model," International Review of Economics & Finance, Elsevier, volume 24, issue C, pages 235-249, DOI: 10.1016/j.iref.2012.03.005.
• Hatemi-J, Abdulnasser, 2012, "Is the UAE stock market integrated with the USA stock market? New evidence from asymmetric causality testing," Research in International Business and Finance, Elsevier, volume 26, issue 2, pages 273-280, DOI: 10.1016/j.ribaf.2012.01.002.
• Baltagi, Badi H. & Liu, Long, 2012, "The Hausman–Taylor panel data model with serial correlation," Statistics & Probability Letters, Elsevier, volume 82, issue 7, pages 1401-1406, DOI: 10.1016/j.spl.2012.03.016.
• Azomahou, Théophile T. & Diene, Mbaye, 2012, "Polarization patterns in economic development and innovation," Structural Change and Economic Dynamics, Elsevier, volume 23, issue 4, pages 421-436, DOI: 10.1016/j.strueco.2012.08.001.
• Rodney W. Strachan & Herman K. van Dijk, 2012, "Evidence on a DSGE Business Cycle model subject to Neutral and Investment-Specific Technology Shocks using Bayesian Model Averaging," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2012-03, Feb.
• Pablo A Guerron-Quintana & James M Nason, 2012, "Bayesian Estimation of DSGE Models," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2012-10, Feb.
• Joshua C C Chan & Eric Eisenstat, 2012, "Marginal Likelihood Estimation with the Cross-Entropy Method," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2012-18, May.
• Yin Liao, 2012, "Does Modeling Jumps Help? A Comparison of Realized Volatility Models for Risk Prediction," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2012-26, Jun.
• Zedginidze Zviad, 2012, "Linking Macroeconomic Dynamics to Georgian Credit Portfolio Risk," EERC Working Paper Series, EERC Research Network, Russia and CIS, number 12/07e, Apr.
• Cesa-Bianchi, Ambrogio & Pesaran, M. Hashem & Rebucci, Alessandro & Xu, Tengteng, 2012, "China's emergence in the world economy and business cycles in Latin America," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 123050, Apr.
• Barigozzi, Matteo & Conti, Antonio & Luciani, Matteo, 2012, "Do Euro area countries respond asymmetrically to the common monetary policy?," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 43344, Jan.
• Ciarreta Antuñano, Aitor & Zárraga Alonso, Ainhoa, 2012, "Analysis of volatility transmissions in integrated and interconnected markets: The case of the Iberian and French markets," BILTOKI, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística), number 1134-8984.
• Casares, Miguel & Vázquez Pérez, Jesús, 2012, "Data Revisions in the Estimation of DSGE Models," DFAEII Working Papers, University of the Basque Country - Department of Foundations of Economic Analysis II, number 1988-088X.
• Vázquez Pérez, Jesús & María-Dolores, Ramón & Londoño Yarce, Juan Miguel, 2012, "The Effect of Data Revisions on the Basic New Keynesian Model," DFAEII Working Papers, University of the Basque Country - Department of Foundations of Economic Analysis II, number 1988-088X.
• Casares, Miguel & Moreno, Antonio & Vázquez Pérez, Jesús, 2012, "An Estimated New-Keynesian Model with Unemployment as Excess Supply of Labor," DFAEII Working Papers, University of the Basque Country - Department of Foundations of Economic Analysis II, number 1988-088X.
• Maravalle, Alessandro, 2012, "Can the change in the composition of the US GDP explain the Great Moderation? A test via oil price shocks," DFAEII Working Papers, University of the Basque Country - Department of Foundations of Economic Analysis II, number 1988-088X.
• António Portugal Duarte & João Sousa Andrade & Adelaide Duarte, 2012, "Exchange Rate Mean Reversion within a Target Zone: Evidence from a Country on the Periphery of the ERM," EcoMod2012, EcoMod, number 3720, Jul.
• Seong-Min Yoon & Sang Hoon Kang, 2012, "Modelling and forecasting the volatility of petroleum futures prices," EcoMod2012, EcoMod, number 3944, Jul.
• Jacek Kotłowski & Michał Brzoza-Brzezina, 2012, "Measuring the Natural Yield Curve," EcoMod2012, EcoMod, number 4197, Jul.
• Catherine Prettner & Klaus Prettner, 2012, "After Two Decades of Integration: How Interdependent are Eastern European Economies and the Euro Area?," EcoMod2012, EcoMod, number 4421, Jul.
• Pincheira, Pablo & García, Álvaro, 2012, "En busca de un buen marco de referencia predictivo para la inflación en Chile," El Trimestre Económico, Fondo de Cultura Económica, volume 79, issue 313, pages 85-123, enero-mar, DOI: http://dx.doi.org/10.20430/ete.v79i.
• Flores, Yarela & Watts, David, 2012, "Competencia en el sector bancario chileno. Una aproximación dinámica," El Trimestre Económico, Fondo de Cultura Económica, volume 79, issue 316, pages 865-903, octubre-d, DOI: http://dx.doi.org/10.20430/ete.v79i.
• Rodolfo Cermeño & Nahieli Vasquez Feregrino, 2012, "Volatilidad de la inflación y crecimiento del producto: el caso de México," Working Papers, CIDE, División de Economía, number DTE 537, Oct.
• Rodolfo Cermeño Bazán & María Roa García & Claudio González Vega, 2012, "Financial Development and Growth Volatility: Time Series Evidence for Mexico and The United States," Working Papers, CIDE, División de Economía, number DTE 544, Oct.
• Francesco Bravo & Juan Carlos Escanciano & Taisuke Otsu, 2012, "A Simple Test for Identification in GMM under Conditional Moment Restrictions," Advances in Econometrics, Emerald Group Publishing Limited, "Essays in Honor of Jerry Hausman", DOI: 10.1108/S0731-9053(2012)0000029020.
• Tae-Hwy Lee & Weiping Yang, 2012, "Money–Income Granger-Causality in Quantiles," Advances in Econometrics, Emerald Group Publishing Limited, "30th Anniversary Edition", DOI: 10.1108/S0731-9053(2012)0000030017.
• Qiang Chen & Daolun Chen & YuTing Gong, 2012, "An empirical analysis of dynamic relationship between stock market and bond market based on information shocks," China Finance Review International, Emerald Group Publishing Limited, volume 2, issue 3, pages 265-285, June, DOI: 10.1108/20441391211231042.
• Aviral Kumar Tiwari, 2012, "Causality between wholesale price and consumer price indices in India," Indian Growth and Development Review, Emerald Group Publishing Limited, volume 5, issue 2, pages 151-172, September, DOI: 10.1108/17538251211268071.
• Faruk Balli & Elsayed Mousa Elsamadisy, 2012, "Modelling the currency in circulation for the State of Qatar," International Journal of Islamic and Middle Eastern Finance and Management, Emerald Group Publishing Limited, volume 5, issue 4, pages 321-339, November, DOI: 10.1108/17538391211282827.
• Scott Hacker & Abdulnasser Hatemi‐J, 2012, "A bootstrap test for causality with endogenous lag length choice: theory and application in finance," Journal of Economic Studies, Emerald Group Publishing Limited, volume 39, issue 2, pages 144-160, May, DOI: 10.1108/01443581211222635.
• Shyh‐Wei Chen & Tzu‐Chun Chen, 2012, "Untangling the non‐linear causal nexus between exchange rates and stock prices," Journal of Economic Studies, Emerald Group Publishing Limited, volume 39, issue 2, pages 231-259, May, DOI: 10.1108/01443581211222671.
• Paolo Casadio & Antonio Paradiso, 2012, "Private sector balance, financial markets, and US cycle: a SVAR analysis," Journal of Economic Studies, Emerald Group Publishing Limited, volume 39, issue 6, pages 709-723, October, DOI: 10.1108/01443581211274638.
• Asai, M. & Caporin, M. & McAleer, M.J., 2012, "Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2012-02, Mar.
• Caporin, M. & McAleer, M.J., 2012, "Robust Ranking of Multivariate GARCH Models by Problem Dimension," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2012-13, Apr.
• Beatrice D. Simo - Kengne & Mehmet Balcilar & Rangan Gupta & Monique Reid & Goodness C. Aye, 2012, "Is the relationship between monetary policy and house prices asymmetric in South Africa? Evidence from a Markov-Switching Vector Autoregressive mode," Working Papers, Eastern Mediterranean University, Department of Economics, number 15-26.
• Mehmet Balcilar & Rangan Gupta & Stephen M. Miller, 2012, "The Out-of-Sample Forecasting Performance of Non-Linear Models of Regional Housing Prices in the US," Working Papers, Eastern Mediterranean University, Department of Economics, number 15-27.
• Hadi Salehi Esfahani & Kamiar Mohaddes & M. Hashem Pesaran, 2012, "An Empirical Growth Model for Major Oil Exporters," Working Papers, Economic Research Forum, number 680, revised 2012.
• Kamiar Mohaddes & Mehdi Raissi, 2012, "Oil Prices, External Income, and Growth: Lessons from Jordan," Working Papers, Economic Research Forum, number 688, revised 2012.
• Wilfredo Toledo, 2012, "Algunos Métodos Para Modelar Tendencias Y Su Aplicación A Las Series De Empleo Sectorial En Puerto Rico," Tlatemoani, Servicios Académicos Intercontinentales SL, issue 9, April.
• Filippo Lechthaler & Lisa Leinert, 2012, "Moody Oil - What is Driving the Crude Oil Price?," CER-ETH Economics working paper series, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich, number 12/168, Oct.
• Christian Buelens, 2012, "Inflation forecasting and the crisis: assessing the impact on the performance of different forecasting models and methods," European Economy - Economic Papers 2008 - 2015, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission, number 451, Mar.
• Matthieu Droumaguet & Tomasz Wozniak, 2012, "Bayesian Testing of Granger Causality in Markov-Switching VARs," Economics Working Papers, European University Institute, number ECO2012/06.
• Aleksei NETSUNAJEV, 2012, "Reaction to Technology Shocks in Markov-Switchings Structural VARs: Identification via heteroskedasticity," Economics Working Papers, European University Institute, number ECO2012/13.
• Tomasz Wozniak, 2012, "Granger-causal analysis of VARMA-GARCH models," Economics Working Papers, European University Institute, number ECO2012/19.
• Tomasz Wozniak, 2012, "Testing Causality Between Two Vectors in Multivariate GARCH Models," Economics Working Papers, European University Institute, number ECO2012/20.
• Mustafa Hakan Eratalay, 2012, "Estimation of Multivariate Stochastic Volatility Models: A Comparative Monte Carlo Study," EUSP Department of Economics Working Paper Series, European University at St. Petersburg, Department of Economics, number 2012/04, Oct.
• Frédéric Karamé, 2012, "An Algorithm for Generalized Impulse-Response Functions in Markov-Switching Structural VAR," Documents de recherche, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne, number 12-04.
• Özlem Yiğit & Attila GÖKÇE, 2012, "Türkiye Ekonomisi İçin NAIRU Tahmini," Ekonomik Yaklasim, Ekonomik Yaklasim Association, volume 23, issue 83, pages 69-91, DOI: 10.5455/ey.34098.
• Giuseppe Travaglini, 2012, "Obiettivi e impatti dell?efficienza energetica in Italia," ARGOMENTI, FrancoAngeli Editore, volume 2012, issue 35, pages 31-51.
• Donatella Baiardi & Carluccio Bianchi, 2012, "Come misurare l?evoluzione congiunturale a livello locale: Una proposta metodologica," SCIENZE REGIONALI, FrancoAngeli Editore, volume 2012, issue 2, pages 73-100.
• Henryk Gurgul & £ukasz Lach, 2012, "Financial Development and Economic Growth in Poland in Transition: Causality Analysis," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 62, issue 4, pages 347-367, August.
• Vit Posta, 2012, "Time-Varying Risk Premium in the Czech Capital Market: Did the Market Experience a Structural Shock in 2008–2009?," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 62, issue 5, pages 450-470, November.
• Filatriau Olivier & Frédéric Reynès, 2012, "A new estimate of discouraged and additional worker effects on labor participation by sex and age in oecd countries," Documents de Travail de l'OFCE, Observatoire Francais des Conjonctures Economiques (OFCE), number 2012-09, Feb.
• Cindy AUDIGUIER, 2012, "The Impact of the Global Financial Crisis on the Least Developed Countries," Working Papers, FERDI, number P50, Sep.
• Cindy AUDIGUIER, 2012, "The Impact of the Global Financial Crisis on the Least Developed Countries," Working Papers, FERDI, number P50, Sep.
• Matteo Manera & Marcella Nicolini & Ilaria Vignati, 2012, "Returns in Commodities Futures Markets and Financial Speculation: A Multivariate GARCH Approach," Working Papers, Fondazione Eni Enrico Mattei, number 2012.23, Apr.
• Emanuele Millemaci & Ferdinando Ofria, 2012, "Kaldor-Verdoorn's Law and Increasing Returns to Scale: A Comparison Across Developed Countries," Working Papers, Fondazione Eni Enrico Mattei, number 2012.92, Dec.
• Issler, João Victor & Notini, Hilton Hostalácio & Rodrigues, Claudia Oliveira da Fontoura, 2012, "Constructing coincident and leading indices of economic activity for the Brazilian economy," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 730, Mar.
• Mark J. Jensen & John M. Maheu, 2012, "Bayesian semiparametric multivariate GARCH modeling," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2012-09.
• Òscar Jordà & Malte Knuppel & Massimiliano Marcellino, 2012, "Empirical simultaneous prediction regions for path-forecasts," Working Paper Series, Federal Reserve Bank of San Francisco, number 2012-05.
• Marcelle Chauvet & Zeynep Senyuz & Emre Yoldas, 2012, "What does financial volatility tell us about macroeconomic fluctuations?," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2012-09.
• Edward P. Herbst & Frank Schorfheide, 2012, "Evaluating DSGE model forecasts of comovements," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2012-11.
• Marcelle Chauvet & Zeynep Senyuz, 2012, "A Dynamic Factor Model of the Yield Curve as a Predictor of the Economy," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2012-32.
• Kirstin Hubrich & Robert J. Tetlow, 2012, "Financial stress and economic dynamics: the transmission of crises," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2012-82.
• Christopher J. Gust & Edward P. Herbst & J. David López-Salido & Matthew E. Smith, 2012, "The Empirical Implications of the Interest-Rate Lower Bound," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2012-83.
• Lutz Kilian & Robert J. Vigfusson, 2012, "Do oil prices help forecast U.S. real GDP? the role of nonlinearities and asymmetries," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 1050.
• Neil R. Ericsson & Erica L. Reisman, 2012, "Evaluating a global vector autoregression for forecasting," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 1056.
• Luciana Juvenal & Ivan Petrella, 2012, "Speculation in the oil market," Economic Synopses, Federal Reserve Bank of St. Louis.
• Frank Schorfheide & Dongho Song, 2012, "Real-time forecasting with a mixed-frequency VAR," Working Papers, Federal Reserve Bank of Minneapolis, number 701.
• Vasco Curdia & Marco Del Negro & Daniel L. Greenwald, 2012, "Rare shocks, great recessions," Staff Reports, Federal Reserve Bank of New York, number 585.
• Pablo Guerrón-Quintana & James M. Nason, 2012, "Bayesian estimation of DSGE models," Working Papers, Federal Reserve Bank of Philadelphia, number 12-4.
• Franz Seitz & Julian von Landesberger, 2012, "Household Money Demand: The Euro Area Case," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), volume 148, issue III, pages 409-438, September.
• Bertille Antoine & Eric Renault, 2012, "Efficient Minimum Distance Estimation with Multiple Rates of Convergence," Discussion Papers, Department of Economics, Simon Fraser University, number dp12-03, Mar.
• Bertille Antoine & Eric Renault, 2012, "Efficient Inference with Poor Instruments: a General Framework," Discussion Papers, Department of Economics, Simon Fraser University, number dp12-04, Mar.
• Bertille Antoine & Eric Renault, 2012, "Testing Identification Strength," Discussion Papers, Department of Economics, Simon Fraser University, number dp12-17, Sep, revised Jan 2017.
• Danuta Rozpędowska-Matraszek, 2012, "Panelowy model SSANOVA wykorzystany do oceny wpływu efektów zróżnicowania sektorowego i regionalnego na prowadzoną restrukturyzację zatrudnienia w opiece zdrowotnej w Polsce w latach 1999-2009," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 27, pages 87-100.
• Diana Sadoveanu & Nicolae Ghiba, 2012, "Purchasing Power Parity: Evidence From Four Cee Countries," Journal of Academic Research in Economics, Spiru Haret University, Faculty of Accounting and Financial Management Constanta, volume 4, issue 1 (March), pages 80-89.
• Juan Carlos Cuestas, 2012, "A Note on the Current Account Sustainability of European Transition Economies," Working Papers, The University of Sheffield, Department of Economics, number 2012011.
• Juan Carlos Cuestas & Javier Ordóñez, 2012, "Smooth Transitions, Asymmetric Adjustment and Unit Roots," Working Papers, The University of Sheffield, Department of Economics, number 2012012.
• Juan Carlos Cuestas & Mercedes Monfort & Javier Ordóñez, 2012, "Real Convergence in Europe: A Cluster Analysis," Working Papers, The University of Sheffield, Department of Economics, number 2012023.
• Andras Fulop & Junye Li & Jun Yu, 2012, "Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility," Working Papers, Singapore Management University, School of Economics, number 03-2012, Jan.
• Rodrigo De-Losso, 2012, "Did The Taylor Rule Stabilize Inflation in Brazil?," Working Papers, Department of Economics, University of São Paulo (FEA-USP), number 2012_21, Sep.
• Rodrigo De-Losso, 2012, "Questioning The Taylor Rule," Working Papers, Department of Economics, University of São Paulo (FEA-USP), number 2012_22, Sep.
• Alfredo Pereira & Jorge Andraz, 2012, "On the economic and budgetary effects of investments in SCUTS: the Portuguese toll-free highways," The Annals of Regional Science, Springer;Western Regional Science Association, volume 48, issue 1, pages 321-338, February, DOI: 10.1007/s00168-010-0404-6.
• Rangan Gupta & Stephen Miller, 2012, "“Ripple effects” and forecasting home prices in Los Angeles, Las Vegas, and Phoenix," The Annals of Regional Science, Springer;Western Regional Science Association, volume 48, issue 3, pages 763-782, June, DOI: 10.1007/s00168-010-0416-2.
• Alfredo Pereira & Jorge Andraz, 2012, "On the regional incidence of highway investments in the USA," The Annals of Regional Science, Springer;Western Regional Science Association, volume 48, issue 3, pages 819-838, June, DOI: 10.1007/s00168-010-0409-1.
• Henryk Gurgul & Łukasz Lach & Roland Mestel, 2012, "The relationship between budgetary expenditure and economic growth in Poland," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, volume 20, issue 1, pages 161-182, March, DOI: 10.1007/s10100-010-0186-z.
• Alfredo García-Hiernaux & José Casals & Miguel Jerez, 2012, "Estimating the system order by subspace methods," Computational Statistics, Springer, volume 27, issue 3, pages 411-425, September, DOI: 10.1007/s00180-011-0264-2.
• Niklas Ahlgren & Mikael Juselius, 2012, "Tests for cointegration rank and the initial condition," Empirical Economics, Springer, volume 42, issue 3, pages 667-691, June, DOI: 10.1007/s00181-010-0442-z.
• Philippe Moës, 2012, "Multivariate models with dual cycles: implications for output gap and potential growth measurement," Empirical Economics, Springer, volume 42, issue 3, pages 791-818, June, DOI: 10.1007/s00181-011-0454-3.
• Tommaso Proietti & Alberto Musso, 2012, "Growth accounting for the euro area," Empirical Economics, Springer, volume 43, issue 1, pages 219-244, August, DOI: 10.1007/s00181-011-0474-z.
• Luis Gil-Alana & Antonio Moreno, 2012, "Fractional integration and structural breaks in U.S. macro dynamics," Empirical Economics, Springer, volume 43, issue 1, pages 427-446, August, DOI: 10.1007/s00181-011-0475-y.
• Abdulnasser Hatemi-J, 2012, "Asymmetric causality tests with an application," Empirical Economics, Springer, volume 43, issue 1, pages 447-456, August, DOI: 10.1007/s00181-011-0484-x.
• Jinho Bae & Chang-Jin Kim & Dong Kim, 2012, "The evolution of the monetary policy regimes in the U.S," Empirical Economics, Springer, volume 43, issue 2, pages 617-649, October, DOI: 10.1007/s00181-011-0492-x.
• Xiaoshan Chen & Terence Mills, 2012, "Measuring the Euro area output gap using a multivariate unobserved components model containing phase shifts," Empirical Economics, Springer, volume 43, issue 2, pages 671-692, October, DOI: 10.1007/s00181-011-0495-7.
• Klaus Prettner & Robert Kunst, 2012, "The dynamic interrelations between unequal neighbors: an Austro-German case study," Empirical Economics, Springer, volume 43, issue 2, pages 741-761, October, DOI: 10.1007/s00181-011-0504-x.
• Melisso Boschi, 2012, "Long- and short-run determinants of capital flows to Latin America: a long-run structural GVAR model," Empirical Economics, Springer, volume 43, issue 3, pages 1041-1071, December, DOI: 10.1007/s00181-011-0524-6.
• Emilio Congregado & Antonio Golpe & Simon Parker, 2012, "The dynamics of entrepreneurship: hysteresis, business cycles and government policy," Empirical Economics, Springer, volume 43, issue 3, pages 1239-1261, December, DOI: 10.1007/s00181-011-0516-6.
• Carlo Di Giorgio & Massimo Giannini, 2012, "A comparison of the Beveridge curve dynamics in Italy and USA," Empirical Economics, Springer, volume 43, issue 3, pages 945-983, December, DOI: 10.1007/s00181-011-0511-y.
• Pablo Agnese & Pablo Salvador, 2012, "More alike than different: the Spanish and Irish labour markets before and after the crisis," IZA Journal of European Labor Studies, Springer;Forschungsinstitut zur Zukunft der Arbeit GmbH (IZA), volume 1, issue 1, pages 1-24, December, DOI: 10.1186/2193-9012-1-9.
• Christos Kollias & Nikolaos Mylonidis & Suzanna-Maria Paleologou, 2012, "The nexus between exchange rates and stock markets: evidence from the euro-dollar rate and composite European stock indices using rolling analysis," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 36, issue 1, pages 136-147, January, DOI: 10.1007/s12197-010-9129-8.
• Angelos Kanas & Christos Ioannidis, 2012, "Revisiting the forward—spot relation: an application of the nonparametric long-run correlation coefficient," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 36, issue 1, pages 148-161, January, DOI: 10.1007/s12197-010-9135-x.
• Rosmy Jean Louis & Faruk Balli & Mohamed Osman, 2012, "On the feasibility of monetary union among Gulf Cooperation Council (GCC) countries: does the symmetry of shocks extend to the non-oil sector?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 36, issue 2, pages 319-334, April, DOI: 10.1007/s12197-010-9121-3.
• Finbarr Murphy & Bernard Murphy, 2012, "A vector-autoregression analysis of credit and liquidity factor dynamics in US LIBOR and Euribor swap markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 36, issue 2, pages 351-370, April, DOI: 10.1007/s12197-010-9122-2.
• Hassan Mohammadi & Mohammad Jahan-Parvar, 2012, "Oil prices and exchange rates in oil-exporting countries: evidence from TAR and M-TAR models," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 36, issue 3, pages 766-779, July, DOI: 10.1007/s12197-010-9156-5.
• Emilian Dobrescu, 2013, "Restatement of the I-O Coefficient Stability Problem," Journal of Economic Structures, Springer;Pan-Pacific Association of Input-Output Studies (PAPAIOS), volume 2, issue 1, pages 1-67, December, DOI: 10.1186/2193-2409-2-2.
• Alfredo Pereira & Jorge Andraz, 2012, "Social security and economic performance in Portugal: after all that has been said and done how much has actually changed?," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, volume 11, issue 2, pages 83-100, August, DOI: 10.1007/s10258-012-0082-7.
• Alfredo Pereira & Jorge Andraz, 2012, "On the effects of highway investment on the regional concentration of economic activity in the USA," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, volume 11, issue 3, pages 165-170, December, DOI: 10.1007/s10258-012-0080-9.
• Melike Bildirici & Elçin Aykaç Alp, 2012, "Minimum wage is efficient wage in Turkish labor market: TAR–cointegration analysis," Quality & Quantity: International Journal of Methodology, Springer, volume 46, issue 4, pages 1261-1270, June, DOI: 10.1007/s11135-011-9439-8.
• Miguel Casares & Antonio Moreno & Jesús Vázquez, 2012, "Wage stickiness and unemployment fluctuations: an alternative approach," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, volume 3, issue 3, pages 395-422, September, DOI: 10.1007/s13209-011-0079-y.
• Maria Gadea & Ana Gómez-Loscos & Antonio Montañés, 2012, "Cycles inside cycles: Spanish regional aggregation," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, volume 3, issue 4, pages 423-456, December, DOI: 10.1007/s13209-011-0068-1.
• Håvard Hungnes, 2012, "Testing for co-non-linearity," Discussion Papers, Statistics Norway, Research Department, number 699, Jul.
• Chen, Xiaoshan & Kontonikas, Alexandros & Montagnoli, Alberto, 2012, "Asset Prices, Credit and the Business Cycle," Stirling Economics Discussion Papers, University of Stirling, Division of Economics, number 2012-04, Apr.
• Apostolos Thomadakis, 2012, "Contagion or Flight-to-Quality Phenomena in Stock and Bond Returns," School of Economics Discussion Papers, School of Economics, University of Surrey, number 0612, Feb.
• James Morley & Aarti Singh, 2012, "Inventory Mistakes and the Great Moderation," Discussion Papers, School of Economics, The University of New South Wales, number 2012-42, Oct.
• Rangan Gupta & Monique Reid, 2012, "Macroeconomic Surprises and Stock Returns in South Africa," Working Papers, Stellenbosch University, Department of Economics, number 05/2012.
• Beatrice D. Simo - Kengne & Mehmet Balcilar & Rangan Gupta & Monique Reid & Goodness C. Aye, 2012, "Is the relationship between monetary policy and house prices asymmetric in South Africa? Evidence from a Markov-Switching Vector Autoregressive mode," Working Papers, Stellenbosch University, Department of Economics, number 14/2012.
• Alberto Humala & Gabriel Rodr�guez, 2012, "A factorial decomposition of inflation in Peru: an alternative measure of core inflation," Applied Economics Letters, Taylor & Francis Journals, volume 19, issue 14, pages 1331-1334, September, DOI: 10.1080/13504851.2011.627207.
• Abdulnasser Hatemi-J & Youssef El-Khatib, 2012, "Stochastic optimal hedge ratio: theory and evidence," Applied Economics Letters, Taylor & Francis Journals, volume 19, issue 8, pages 699-703, May, DOI: 10.1080/13504851.2011.572841.
• Christopher Phillip Reicher, 2012, "A simple decomposition of the variance of output growth across countries," Applied Economics Letters, Taylor & Francis Journals, volume 19, issue 9, pages 869-872, June, DOI: 10.1080/13504851.2011.607115.
• Simón Sosvilla-Rivero & Amalia Morales-Zumaquero, 2012, "Volatility in EMU sovereign bond yields: permanent and transitory components," Applied Financial Economics, Taylor & Francis Journals, volume 22, issue 17, pages 1453-1464, September, DOI: 10.1080/09603107.2012.661397.
• Enzo Weber, 2012, "Regional and outward economic integration in South-East Asia," Applied Economics, Taylor & Francis Journals, volume 44, issue 10, pages 1271-1283, April, DOI: 10.1080/00036846.2010.539543.
• Nadia Ayari & Szabolcs Blazsek & Pedro Mendi, 2012, "Renewable energy innovations in Europe: a dynamic panel data approach," Applied Economics, Taylor & Francis Journals, volume 44, issue 24, pages 3135-3147, August, DOI: 10.1080/00036846.2011.570720.
• Luis A. Gil-Alana & Antonio Moreno & Seonghoon Cho, 2012, "The Deaton paradox in a long memory context with structural breaks," Applied Economics, Taylor & Francis Journals, volume 44, issue 25, pages 3309-3322, September, DOI: 10.1080/00036846.2011.572857.
• António Portugal Duarte & João Sousa Andrade, 2012, "How the Gold Standard functioned in Portugal: an analysis of some macroeconomic aspects," Applied Economics, Taylor & Francis Journals, volume 44, issue 5, pages 617-629, February, DOI: 10.1080/00036846.2010.513675.
• Nadia Ayari & Szabolcs Blazsek & Pedro Mendi, 2012, "Renewable energy innovations in Europe: a dynamic panel data approach," Applied Economics, Taylor & Francis Journals, volume 44, issue 24, pages 3135-3147, August, DOI: 10.1080/00036846.2011.570720.
• Ant Afonso & Ricardo M. Sousa, 2012, "The macroeconomic effects of fiscal policy," Applied Economics, Taylor & Francis Journals, volume 44, issue 34, pages 4439-4454, December, DOI: 10.1080/00036846.2011.591732.
• Otilia Boldea & Alastair Hall & Sanggohn Han, 2012, "Asymptotic Distribution Theory for Break Point Estimators in Models Estimated via 2SLS," Econometric Reviews, Taylor & Francis Journals, volume 31, issue 1, pages 1-33, DOI: 10.1080/07474938.2011.607082.
• George Athanasopoulos & D. Poskitt & Farshid Vahid, 2012, "Two Canonical VARMA Forms: Scalar Component Models Vis-à-Vis the Echelon Form," Econometric Reviews, Taylor & Francis Journals, volume 31, issue 1, pages 60-83, DOI: 10.1080/07474938.2011.607088.
• Drew Creal, 2012, "A Survey of Sequential Monte Carlo Methods for Economics and Finance," Econometric Reviews, Taylor & Francis Journals, volume 31, issue 3, pages 245-296, DOI: 10.1080/07474938.2011.607333.
• Christian Kascha, 2012, "A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models," Econometric Reviews, Taylor & Francis Journals, volume 31, issue 3, pages 297-324, DOI: 10.1080/07474938.2011.607343.
• Greg Hannsgen, 2012, "Infinite-variance, alpha-stable shocks in monetary SVAR," International Review of Applied Economics, Taylor & Francis Journals, volume 26, issue 6, pages 755-786, April, DOI: 10.1080/02692171.2012.686484.
• José Rangel & Robert Engle, 2012, "The Factor–Spline–GARCH Model for High and Low Frequency Correlations," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 30, issue 1, pages 109-124, DOI: 10.1080/07350015.2012.643132.
• Ingmar Nolte & Valeri Voev, 2012, "Least Squares Inference on Integrated Volatility and the Relationship Between Efficient Prices and Noise," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 30, issue 1, pages 94-108, DOI: 10.1080/10473289.2011.637876.
• Joshua C.C. Chan & Gary Koop & Roberto Leon-Gonzalez & Rodney W. Strachan, 2012, "Time Varying Dimension Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 30, issue 3, pages 358-367, January, DOI: 10.1080/07350015.2012.663258.
• Ole E. Barndorff-Nielsen & David G. Pollard & Neil Shephard, 2012, "Integer-valued L�vy processes and low latency financial econometrics," Quantitative Finance, Taylor & Francis Journals, volume 12, issue 4, pages 587-605, January, DOI: 10.1080/14697688.2012.664935.
• Astrid Ayala & Juncal Cuñado & Luis Albériko Gil-Alana, 2012, "Unemployment Hysteresis: Empirical Evidence for Latin America," Journal of Applied Economics, Taylor & Francis Journals, volume 15, issue 2, pages 213-233, November, DOI: 10.1016/S1514-0326(12)60010-5.
• Riadh Ben Jelili, 2012, "Revisiting the Finance-Growth Nexus: Further Evidence from Tunisia," Middle East Development Journal, Taylor & Francis Journals, volume 4, issue 1, pages 1250001-121, January, DOI: 10.1142/S1793812012500034.
• Ozlem Yigit & Atilla Gokce, 2012, "Turkiye'de Cekirdek Enflasyon : Ekonometrik Bir Yaklasim," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, volume 12, issue 1, pages 37-51.
• Meltem Gulenay Chadwick & Fatih Fazilet & Necati Tekatli, 2012, "Gelismekte Olan Ulkelerin Kurlarindaki Ortak Hareketin Analizi," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, volume 12, issue 1, pages 63-74.
• Doruk Kucuksarac & Pinar Ozlu & Deren Unalmis, 2012, "Kuresel Kriz, Avrupa Borc Krizi ve Gelismekte Olan Piyasalarda Bulasicilik Etkisi (Global Crisis, European Debt Crisis and Contagion in Emerging Markets)," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, volume 12, issue 2, pages 25-35.
• Meltem Gulenay Chadwick & Fatih Fazilet & Necati Tekatli, 2012, "Common Movement of the Emerging Market Currencies," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 1207.
• Andreas G. Georgantopoulos & Anastasios D. Tsamis, 2012, "The Interrelationship between Money Supply, Prices and Government Expenditures and Economic Growth: A Causality Analysis for the Case of Cyprus," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, volume 5, issue 3, pages 115-128, December.
• Suncica Vujic & Jacques Commandeur & Siem Jan Koopman, 2012, "Structural Intervention Time Series Analysis of Crime Rates: The Impact of Sentence Reform in Virginia," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-007/4, Jan.
• Siem Jan Koopman & Rutger Lit & Thuy Minh Nguyen, 2012, "Fast Efficient Importance Sampling by State Space Methods," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-008/4, Jan, revised 16 Oct 2014.
• Rodney Strachan & Herman K. van Dijk, 2012, "Evidence on Features of a DSGE Business Cycle Model from Bayesian Model Averaging," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-025/4, Mar.
• Dick van Dijk & Siem Jan Koopman & Michel van der Wel & Jonathan H. Wright, 2012, "Forecasting Interest Rates with Shifting Endpoints," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-076/4, Jul.
• H. Peter Boswijk & Michael Jansson & Morten Ø. Nielsen, 2012, "Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-097/III, Sep.
• Siem Jan Koopman & Rutger Lit, 2012, "A Dynamic Bivariate Poisson Model for Analysing and Forecasting Match Results in the English Premier League," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-099/III, Sep.
• Geert Mesters & Siem Jan Koopman, 2012, "A Forty Year Assessment of Forecasting the Boat Race," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-110/III, Oct.
• Hallin, M. & van den Akker, R. & Werker, B.J.M., 2012, "Rank-based Tests of the Cointegrating Rank in Semiparametric Error Correction Models," Discussion Paper, Tilburg University, Center for Economic Research, number 2012-089.
• Boldea, O. & Hall, A.R. & Han, S., 2012, "Asymptotic distribution theory for break point estimators in models estimated via 2SLS," Other publications TiSEM, Tilburg University, School of Economics and Management, number 2e2fbb75-c4ff-4279-8243-e.
• Hallin, M. & van den Akker, R. & Werker, B.J.M., 2012, "Rank-based Tests of the Cointegrating Rank in Semiparametric Error Correction Models," Other publications TiSEM, Tilburg University, School of Economics and Management, number bc68a2f2-3ca3-443c-b3ac-f.
• Mark J Jensen & John M Maheu, 2012, "Bayesian semiparametric multivariate GARCH modeling," Working Papers, University of Toronto, Department of Economics, number tecipa-458, Jun.
• Rose FIAMOHE & Bruno HENRY de FRAHAN, 2012, "Transmission Des Prix Et Asymétrie Sur Les Marchés De Produits Vivriers Au Bénin," Region et Developpement, Region et Developpement, LEAD, Universite du Sud - Toulon Var, volume 36, pages 205-228.
• Javier Mencía & Enrique Sentana, 2012, "Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations," The Review of Economics and Statistics, MIT Press, volume 94, issue 1, pages 133-152, February.
• Elena Andreou & Bas J. M. Werker, 2012, "An Alternative Asymptotic Analysis of Residual-Based Statistics," The Review of Economics and Statistics, MIT Press, volume 94, issue 1, pages 88-99, February.
• David M. Zimmer, 2012, "The Role of Copulas in the Housing Crisis," The Review of Economics and Statistics, MIT Press, volume 94, issue 2, pages 607-620, May.
• Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2012, "A Quasi–Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models," The Review of Economics and Statistics, MIT Press, volume 94, issue 4, pages 1014-1024, November.
• Ivana Komunjer & Michael T. Owyang, 2012, "Multivariate Forecast Evaluation and Rationality Testing," The Review of Economics and Statistics, MIT Press, volume 94, issue 4, pages 1066-1080, November.
• James D. Hamilton & Michael T. Owyang, 2012, "The Propagation of Regional Recessions," The Review of Economics and Statistics, MIT Press, volume 94, issue 4, pages 935-947, November.
• Fève, Patrick & Jidoud, Ahmat, 2012, "Identifying News Shocks from SVARs," TSE Working Papers, Toulouse School of Economics (TSE), number 12-287, Mar.
• Fève, Patrick & Jidoud, Ahmat, 2012, "News Shocks, Information Flows and SVARs," TSE Working Papers, Toulouse School of Economics (TSE), number 12-286, Mar.
• Fève, Patrick & Matheron, Julien & Sahuc, Jean-Guillaume, 2012, "A Pitfall with DSGE-Based, Estimated, Government Spending Multipliers," TSE Working Papers, Toulouse School of Economics (TSE), number 12-289, Apr.
• Chaudourne, Jeremy & Fève, Patrick, 2012, "Understanding the Effect of Technology Shocks in SVARs with Long-Run Restrictions," TSE Working Papers, Toulouse School of Economics (TSE), number 12-331, Aug.
• Azra Zaimovic, 2012, "Systematic Risk Assesment Using Ols Method - The Case Of The Capital Market Of Bosnia And Herzegovina," Economic Review: Journal of Economics and Business, University of Tuzla, Faculty of Economics, volume 10, issue 1, pages 13-23.
• Müller-Plantenberg, Nikolas, 2012, "Long swings in Japan’s current account and in the yen," Working Papers in Economic Theory, Universidad Autónoma de Madrid (Spain), Department of Economic Analysis (Economic Theory and Economic History), number 2012/08, Mar.
• Manabu Asai & Massimiliano Caporin & Michael McAleer, 2012, "Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2012-03.
• José Casals & Sonia Sotoca & Miguel Jerez, 2012, "Minimally Conditioned Likelihood for a Nonstationary State Space Model," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2012-04.
• Massimiliano Caporin & Michael McAleer, 2012, "Robust Ranking of Multivariate GARCH Models by Problem Dimension," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2012-06, revised Apr 2012.
• David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2012, "Volatility Spillovers from the US to Australia and China across the GFC," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2012-30, Dec.
• Dong Jin Lee & Jai Hyung Yoon, 2012, "The New Keynesian Phillips Curves in Multiple Quantiles and the Asymmetry of Monetary Policy," Working papers, University of Connecticut, Department of Economics, number 2012-03, Feb.